A practitioner's manual · free to read
Learn how market makers price the spread
Every market has someone quoting both sides. This book explains who they are, why the spread exists, and how to compute it — taking you from your first order book to designing, testing, and operating market-making algorithms on real venues.
- chapters
- 20
- real venues
- 6
- interactive figures
- 30
- strategy proposals
- 6
Order books·Inventory risk·Adverse selection·Avellaneda–Stoikov·Microstructure signals·Kalshi·Polymarket·Hyperliquid·Binance·IBKR & Alpaca·Algorithm catalog·Risk & operations·
Foundations
What an order book is, how exchanges match trades, and what a market maker actually does — assuming zero prior trading knowledge.
The mathematics
Inventory risk, adverse selection, and the optimal-quoting models behind every serious desk — built up step by step with interactive figures.
Practice
Six real venues from Kalshi to Binance, a catalog of production algorithms, a hands-on crypto practicum, and six original strategy proposals.